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系統識別號 U0002-0207201413110900
中文論文名稱 台指期貨短期急漲急跌介入之盈虧分析
英文論文名稱 The Profitability Analysis for Sudden Rising or Falling of TAIMEX
校院名稱 淡江大學
系所名稱(中) 管理科學學系企業經營碩士在職專班
系所名稱(英) Executive Master’s Program of Business Administration(EMBA) in Management Sciences
學年度 102
學期 2
出版年 103
研究生中文姓名 張玉梅
研究生英文姓名 Yu-Mei Chang
學號 701620063
學位類別 碩士
語文別 中文
口試日期 2014-06-20
論文頁數 33頁
口試委員 指導教授-倪衍森
委員-曹銳勤
委員-黃寶玉
中文關鍵字 台指期貨  日內交易  投資策略 
英文關鍵字 TAIEX Futures  intraday trading  investing strategies 
學科別分類
中文摘要 本研究以台灣指數期貨市場作為研究對象,以台灣期貨交易所提供之2011年日內交易資料來探討投資人是否在台指期貨極短期內急漲急跌時介入,並且有獲利的空間。本研究透過觀察過去期貨每一分鐘的資料來界定四種急漲或四種急跌,並分析上述這些現象出現後之做多或做空的投資策略是否有獲利的契機,此外由於本研究的研究設計乃採行當日平倉策略,是以本研究亦分析三種平倉策略的盈虧分析。在本研究中有由四種急漲介入、四種急跌介入,共有八種介入方式,之後的投資策略也分為做多、做空二種投資策略,之後就做多而言有三種平倉策略,對做空而言,亦有三種平倉策略,共有48種策略組合的盈虧分析。而本實證結果顯示,某些組合是有獲利的可能性,但若是短期急跌時介入仍採行做多策略,損失可能會加劇。而且分析結果發現在不同的狀況下介入之結果有顯著的差異,是以在不同狀況下所採行的介入策略或平倉策略應有所不同,因此,策略的應用需要謹慎的觀察與判斷,才有較大的機會在期貨市場上獲取利潤
英文摘要 This study investigates whether investors would profit for trading index futures right after the sudden rising or falling of TAIFEX (Taiwan Futures Exchange) emitted by employing the intraday data in 2011. While observing index futures deliberately, we define four sudden rising or four sudden falling cases for TAIMEX in this study. We take long or short position in TAIMEX after these cases shown, and then close the positions as making profits points hit, cutting losses points touched, or closing the position one minute before the market close. Thus, there are eight intervene cases including four sudden rising and four sudden falling cases, two investing strategies such as taking long or short positions, and three cases for closing the positions. In sum, we then measure whether investors could make profits for 48 combination cases (i.e. 8*2*3 =48). The results reveal that investors would make profits in some combination, but investors might suffer losses even huge losses if the TAIMEX falling considerable points in a minute. In addition, the strategies employed and the positions closed would not be the same for various sudden rising or sudden falling in TAIMEX. Thus, the investors should trade prudently by observing TAIMEX deliberately for enhancing the profitability.
論文目次 目 錄 III
表 目 錄 V
圖 目 錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究流程 5
第四節 研究架構 6
第二章 文獻探討 7
第一節 台指期貨介紹 7
第二節 日內與期貨交易 11
第三節 動能交易策略 13
第四節 反向交易策略 14
第三章 研究假說與方法 16
第一節 資料來源 16
第二節 研究假說 16
第三節 研究設計 17
第四章 實證結果 19
第一節 敘述統計量 19
第二節 台指期貨一分鐘急漲實証結果 20
第三節 台指期貨一分鐘急跌實証結果 22
第五章 結論與建議 26
第一節 研究結論 26
第二節 投資與管理意涵 27
第三節 研究限制與後續研究建議 29
參考文獻 31

表 目 錄

表3-1 急漲急跌下之期貨日內交易的方式 18
表4-1 敘述統計量 19
表4-2 一分鐘急漲後介入做多策略的盈虧分析表 20
表4-3 一分鐘急漲後介入做空策略的盈虧分析表 21
表4-4 一分鐘急跌後介入做多策略的盈虧分析表 23
表4-5 一分鐘急跌後介入做空策略的盈虧分析表 24


圖 目 錄

圖1-1 研究架構流程圖 5


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